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A correction : I used different terminology for some composites.
Here is the whole [consistent] text.
Run first the
Dratio=500*(H-L)/(H+L);
Dratio40=DEMA(Dratio,40);
AddToComposite(Dratio40,"~SUMDratio40","C");
AddToComposite(StochD(),"~SUMSTOCHD","C");
AddToComposite(RSI(),"~SUMRSI","C");
AddToComposite(1,"~COUNT","V");
Buy=0;
and then optimize with
MeanDratio=Foreign("~SUMDratio40","C")/Foreign("~COUNT","V");
MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
MeanStochD=Foreign("~SUMSTOCHD","C")/Foreign("~COUNT","V");
OUTpSTOCHD=StochD()>MeanStochD;
UNDERpSTOCHD=StochD()<=MeanStochD;
OUTpRSI=RSI()>MeanRSI;
UNDERpRSI=RSI()<=MeanRSI;
Dratio=500*(H-L)/(H+L);
Dratio40=DEMA(Dratio,40);
OUTpDRATIO=Dratio40>MeanDratio;
UNDERpDRATIO=Dratio40<=MeanDratio;
T=ValueWhen(IsTrue(MeanDratio) AND IsTrue(MeanRSI) AND IsTrue
(MeanStochD),DateNum());
TT=DateNum()==T;
K=Optimize("K",7,1,7,1);KK=Optimize("KK",7,1,7,1);
COND1=IIf(K==1,OUTpSTOCHD,
IIf(K==2,UNDERpSTOCHD,
IIf(K==3,OUTpRSI,
IIf(K==4,UNDERpRSI,
IIf(K==5,OUTpDRATIO,
IIf(K==6,UNDERpDRATIO,1))))));
COND2=IIf(KK==1,OUTpSTOCHD,
IIf(KK==2,UNDERpSTOCHD,
IIf(KK==3,OUTpRSI,
IIf(KK==4,UNDERpRSI,
IIf(KK==5,OUTpDRATIO,
IIf(KK==6,UNDERpDRATIO,1))))));
Buy=Cross(StochD(),30);Sell=Cross(StochD(),70);//Your system example
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);//see below text
Buy=TT*(Buy AND COND1);Sell=TT*(Sell AND COND2);
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> In order to select automatically the additional conditions and
> improve your basic trading system, you may try the optimization
>
> MeanDratio=Foreign("~Dratio40","C")/Foreign("~COUNT","V");
> MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
> MeanStochD=Foreign("~MEANSTOCHD","C")/Foreign("~COUNT","V");
> OUTpSTOCHD=StochD()>MeanStochD;
> UNDERpSTOCHD=StochD()<=MeanStochD;
> OUTpRSI=RSI()>MeanRSI;
> UNDERpRSI=RSI()<=MeanRSI;
> Dratio=500*(H-L)/(H+L);
> Dratio40=DEMA(Dratio,40);
> OUTpDRATIO=Dratio40>MeanDratio;
> UNDERpDRATIO=Dratio40<=MeanDratio;
> T=ValueWhen(IsTrue(MeanDratio) AND IsTrue(MeanRSI) AND IsTrue
> (MeanStochD),DateNum());
> TT=DateNum()==T;
> K=Optimize("K",7,1,7,1);KK=Optimize("KK",7,1,7,1);
> COND1=IIf(K==1,OUTpSTOCHD,
> IIf(K==2,UNDERpSTOCHD,
> IIf(K==3,OUTpRSI,
> IIf(K==4,UNDERpRSI,
> IIf(K==5,OUTpDRATIO,
> IIf(K==6,UNDERpDRATIO,1))))));
> COND2=IIf(KK==1,OUTpSTOCHD,
> IIf(KK==2,UNDERpSTOCHD,
> IIf(KK==3,OUTpRSI,
> IIf(KK==4,UNDERpRSI,
> IIf(KK==5,OUTpDRATIO,
> IIf(KK==6,UNDERpDRATIO,1))))));
>
> Buy=Cross(StochD(),30);Sell=Cross(StochD(),70);//Your system example
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);//*see below text
> Buy=TT*(Buy AND COND1);Sell=TT*(Sell AND COND2);
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
>
> * The combination K=7, KK=7 is the basic system without any
additives
> * A combination K=4, KK=7 means "Buy when RSI underperforms, Sell
> normal"
> * You may not exrem before applying the additives and leave
secondary
> Buy to act
> DT
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx>
> wrote:
> > After the RSI() example, we may generalise the OUT/UNDER
> performance using the following definition:
> > A stock UNDERperforms the market when an Indicator is lower than
> the respective MeanIndicator and
> > OUTperforms the market when an Indicator is higher than the
> respective MeanIndicator.
> > To see the impact on trading systems let us give some examples:
> > The MeanStochD, the MeanRSI and the MeanDratio.
> > In AA window paste the
> >
> > Dratio=500*(H-L)/(H+L);
> > Dratio40=DEMA(Dratio,40);
> > AddToComposite(Dratio40,"~SUMDratio40","C");
> > AddToComposite(StochD(),"~SUMSTOCHD","C");
> > AddToComposite(RSI(),"~SUMRSI","C");
> > AddToComposite(1,"~COUNT","V");
> > Buy=0;
> >
> > scan for all stocks, all quotations and create the respective
> MeanIndicators
> >
> > MeanDratio=Foreign("~SUMDratio40","C")/Foreign("~COUNT","V");
> > MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
> > MeanStochD=Foreign("~SUMSTOCHD","C")/Foreign("~COUNT","V");
> >
> > useful to write the OUT/UNDERperformance Conditions
> >
> > OUTpSTOCHD=StochD()>MeanStochD;
> > UNDERpSTOCHD=StochD()<=MeanStochD;
> > OUTpRSI=RSI()>MeanRSI;
> > UNDERpRSI=RSI()<=MeanRSI;
> > Dratio=500*(H-L)/(H+L);
> > Dratio40=DEMA(Dratio,40);
> > OUTpDRATIO=Dratio40>MeanDratio;
> > UNDERpDRATIO=Dratio40<=MeanDratio;
> >
> > and, finally, enhance your trading rules with the above
conditions.
> > Example
> > Buy=...your Buy rule here
> > Sell=...your Sell rule here
> > Buy=Buy AND OUTpSTOCHD;// Buy only when the stock Outperforms the
> market, according to StochD criterion
> > Sell=Sell AND UNDERpDRATIO;// Sell only when the stock
> Underperforms the market, according to Dratio criterion
> >
> > Some combinations are quite interesting and may improve your
> results.
> > Dimitris Tsokakis
> > [to be continued]
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